Related papers: Cross-impact and no-dynamic-arbitrage
We construct a price impact model between stocks in a correlated market. For the price change of a given stock induced by the short-run liquidity of this stock itself and of the information about other stocks, we introduce a self- and a…
Traders and investors involved in an option contract having the underlying stock in range bound are likely to lose their initial investment. Timing in buying an option contract is of capital importance. In a recent article [1] the…
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not…
Solids built out of active components can exhibit non-reciprocal elastic coefficients that give rise to non-Hermitian wave phenomena. Here, we investigate non-Hermitian effects present at the boundary of two-dimensional active elastic media…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of two possibly correlated assets: one liquid and one illiquid. The liquid asset is observed and can be traded continuously, while the…
In this paper, we discuss the non-collapsibility concept and propose a new approach based on Dirichlet process mixtures to estimate the conditional effect of covariates in non-collapsible models. Using synthetic data, we evaluate the…
It is shown that the universal behavior of the spacing distribution of nearest energy levels at the metal--insulator Anderson transition is indeed dependent on the boundary conditions. The spectral rigidity $\Sigma^2(E)$ also depends on the…
We consider non-concave and non-smooth random utility functions with do- main of definition equal to the non-negative half-line. We use a dynamic pro- gramming framework together with measurable selection arguments to establish both the…
Ownership concentration is not a scalar. For a normalized investor-stock matrix $A$, it has three irreducible layers: concentration across investors, concentration across stocks, and dependence in the joint assignment of investors to…
The concept of weighted asymmetries is revisited for semi-inclusive deep inelastic scattering. We consider the cross section in Fourier space, conjugate to the outgoing hadron's transverse momentum, where convolutions of transverse momentum…
We show that, in a market economy, the aggregate production level depends not only on the aggregate variables but also on the distribution of individual characteristics (e.g., productivity, credit limit, ...). We prove that, due to…
It is assumed that under suitable economic and information-theoretic conditions, market exchange rates are free from arbitrage. Commodity markets in which trades occur over a complete graph are shown to be trivial. We therefore examine the…
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden, large variation of the spread, corresponding to a temporary crisis of liquidity in a double auction financial market. We find that the spread decays…
The modern S-Matrix Bootstrap provides non-perturbative bounds on low-energy aspects of scattering amplitudes, leveraging the constraints of unitarity, analyticity and crossing. Typically, the solutions saturating such bounds also saturate…
We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck…
Causal inference in modern largescale systems faces growing challenges, including highdimensional covariates, multi-valued treatments, massive observational (OBS) data, and limited randomized controlled trial (RCT) samples due to cost…
We study nonparametric estimation for the partially conditional average treatment effect, defined as the treatment effect function over an interested subset of confounders. We propose a hybrid kernel weighting estimator where the weights…
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling…